Testing for persistence in stock returns with GARCH-stable shocks
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Publication:4610232
DOI10.1088/1469-7688/4/3/002zbMath1409.62208MaRDI QIDQ4610232
Prasad V. Bidarkota, J. Huston McCulloch
Publication date: 15 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/1469-7688/4/3/002
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91B84: Economic time series analysis
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